Spot and Futures Prices of Nonstorable Commodities Under Rational Expectations*
在理性预期框架下分析期货市场对非储存商品价格形成的影响，发现期货交易不改变短期现货价格波动，但能降低长期价格波动，且期货价格波动小于现货价格。
The paper examines the effect of the presence of a commodity futures market upon the price formation process in a stochastic rational expectations framework. An optimizing model with price uncertainty and risk aversion is used in order to solve equilibrium distributions of prices for nonstorable commodities. The existence of futures trading does not affect the degree of short-term spot price fluctuations. However, if the commodity market disturbance that originates from stochastic consumption demand is serially dependent, then the long-term price variation is smaller with a futures market than without it. Futures prices fluctuate less variably over time than spot and expected prices. Finally, there exists a futures intervention rule whereby the authority can stabilize spot prices and raise the overall welfare of society.